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粗眉毛辣椒油 · 2024年03月06日

公式理解

  1. FRM I
  2. Financial Markets And Products

NO.PZ2019052801000039

问题如下：

A farmer plans to sell 50,000 tons of soybeans in six months, he decides to short futures contracts to hedge against the price deline. The current price of soybeans is $ 508/ton, the contract size is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounded rate is 5%, what's the price for the futures contract ?

选项：

A.

$35412.

B.

$76634.

C.

$50217.

D.

$52478.

解释：

D is correct.

考点：远期合约定价

解析：

FP  =S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78

x100 tons per contract = $52478

以下是我的解题思路：

按老师讲的大原则，FP=S0+cost-income，同时期货定价和远期定价一样，所以通过期初V0=0构建公式。

FP/(e^R*T)=s0(1+1.5%)^0.5

请问以上哪里不对呢？


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1 个答案

pzqa39 · 2024年03月07日

嗨，从没放弃的小努力你好：


这道题就是套公式，在连续复利的情况下F=S0*e^rt，这道题storage cost给的是一个比率，这个比率需要在r的基础上加或者减，F=S0*e^（r-c）t。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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